Trading System based on the use of technical analysis: A computational experiment

Costa, Thiago Raymon Cruz Cacique da; Nazário, Rodolfo Toríbio Farias; Bergo, Gabriel Soares Zica; Sobreiro, Vinícius Amorim; Kimura, Herbert

doi:10.1016/j.jbef.2015.03.003

Cited by 28 publications

(7 citation statements)

References 43 publications

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“…Currently, there are still new indicators based on both fuzzy modeling and a combination of individual statistical and mathematical indicators, and so the list of indicators is far from complete. The existing ones are then subjected to various tests (da Costa, 2015;Kolkova, 2017;Kresta, 2015).…”

Section: Forecasts Based On Technical Analysis Indicatorsmentioning

confidence: 99%

Indicators of Technical Analysis on the Basis of Moving Averages as Prognostic Methods in the Food Industry

Kolková¹

2018

JOC

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Competitiveness is an important factor in a company's ability to achieve success, and proper forecasting can be a fundamental source of competitive advantage for an enterprise. The aim of this study is to show the possibility of using technical analysis indicators in forecasting prices in the food industry in comparison with classical methods, namely exponential smoothing. In the food industry, competitiveness is also a key element of business. Competitiveness, however, requires not only a thorough historical analysis not only of but also forecasting. Forecasting methods are very complex and are often prevented from wider application to increase competitiveness. The indicators of technical analysis meet the criteria of simplicity and can therefore be a good way to increase competitiveness through proper forecasting. In this manuscript, the use of simple forecasting tools is confirmed for the period of 2009-2018. The analysis was completed using data on the main raw materials of the food industry, namely wheat food, wheat forage, malting barley, milk, apples and potatoes, for which monthly data from January 2009 to February 2018 was collected. The data file has been analyzed and modified, with an analysis of indicators based on rolling averages selected. The indicators were compared using exponential smoothing forecasting. Accuracy RMSE and MAPE criteria were selected. The results show that, while the use of indicators as a default setting is inappropriate in business economics, their accuracy is not as strong as the accuracy provided by exponential smoothing. In the following section, the models were optimized. With these optimized parameters, technical indicators seem to be an appropriate tool.

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Section: Forecasts Based On Technical Analysis Indicatorsmentioning

confidence: 99%

Indicators of Technical Analysis on the Basis of Moving Averages as Prognostic Methods in the Food Industry

Kolková¹

2018

JOC

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“…Ratner and Leal (1999), Ülkü and Prodan (2013) and Tse (2015) find that when TTRs are used, the overall performance of the Brazilian assets (indexes, stocks or exchange trade funds) is worse than the buy-and-hold strategy. On the other hand, Hatgioannides and Mesomeris (2007), Hsu et al (2010) and Cacique da Costa et al (2015) find some weak evidence of profits in the Brazilian stock market following TTRs.…”

Section: Introductionmentioning

confidence: 93%

Profitability of Technical Trading Rules in the Brazilian Stock Market

Miralles‐Quirós

Miralles-Quirós

Gonçalves

2018

RECFin

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Objective: The objective of this paper has been to analyze different trading strategies for the Brazilian stock market. This analysis is focused on the comparison and combination of different active rules against the passive rule of buy-and-hold. Background: The role of regional leader of the Brazilian stock market has attracted the attention of the investors, who now consider it a valid alternative when seeking to diversify their portfolios. Consequently, an adequate use of the Technical Trading Rules (TTR) could help investors obtain the desired profits on their investments. Method: We compare the performance of active strategies based on classical TTRs with a proposal based on the momentum indicator, and then all of them with those obtained from the passive strategy of buy-and-hold. Reality Check and Superior Predictive Ability tests are employed to account for possible data snooping bias. Results: It is shown that the classical rules perform worse than a proposed rule based on the Rate of Change. Additionally, when we employ an ETF which tracks the smaller companies, we obtain higher performances than those obtained for larger companies.

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“…Therefore, there is a good predictive capacity in these markets. However, Costa et al (2015) and Ratner and Leal (1999), who considered transaction costs, identified that the predictive capacity of TA does not lead to abnormally strong returns.…”

Section: Related Researchmentioning

confidence: 99%

“…In this work, we sought to complement the approach of Costa et al 2015and Sobreiro et al (2016) in some respects. First, we studied the performance of technical analysis for the instruments traded in Brazil as verified in Costa et al (2015), and also for the BRICS members, to check the profitability of indicators for a more general class of countries. In contrast to Sobreiro et al 2016, we included transaction costs, aiming to establish more realistic assumptions.…”

Section: Related Researchmentioning

confidence: 99%

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Examination of the profitability of technical analysis based on moving average strategies in BRICS

et al. 2018

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In this paper, we investigated the profitability of technical analysis as applied to the stock markets of the BRICS member nations. In addition, we searched for evidence that technical analysis and fundamental analysis can complement each other in these markets. To implement this research, we created a comprehensive portfolio containing the assets traded in the markets of each BRICS member. We developed an automated trading system that simulated transactions in this portfolio using technical analysis techniques. Our assessment updated the findings of previous research by including more recent data and adding South Africa, the latest member included in BRICS. Our results showed that the returns obtained by the automated system, on average, exceeded the value invested. There were groups of assets from each country that performed well above the portfolio average, surpassing the returns obtained using a buy and hold strategy. The returns from the sample portfolio were very strong in Russia and India. We also found that technical analysis can help fundamental analysis identify the most dynamic companies in the stock market.

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Trading System based on the use of technical analysis: A computational experiment

Cited by 28 publications

References 43 publications

Indicators of Technical Analysis on the Basis of Moving Averages as Prognostic Methods in the Food Industry

Indicators of Technical Analysis on the Basis of Moving Averages as Prognostic Methods in the Food Industry

Profitability of Technical Trading Rules in the Brazilian Stock Market

Examination of the profitability of technical analysis based on moving average strategies in BRICS

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